strat Package

The strat package provides trading strategy-related functionality definitions and implementations.

Main Structures

TradeStrat

Core structure for trading strategy, defines basic properties and behaviors of a strategy.

Public fields:

• Name string - Strategy name
• Version int - Strategy version number
• WarmupNum int - Number of candlesticks needed for warmup
• MinTfScore float64 - Minimum time frame quality, default 0.75
• WsSubs map[string]string - WsSubs map[string]string // websocket subscription: core.WsSubKLine, core.WsSubTrade, core.WsSubDepth
• DrawDownExit bool - Whether to enable drawdown exit
• HedgeOff bool - turn off future hedge mode
• BatchInOut bool - Whether to batch execute entry/exit
• BatchInfo bool - Whether to perform batch processing after OnInfoBar
• StakeRate float64 - Relative basic amount billing rate
• StopLoss float64 - Stop loss rate for all orders opened by this strategy (without leverage)
• StopEnterBars int - Timeout candlestick number for limit entry orders
• EachMaxLong int - Maximum number of long orders per trading pair, -1 to disable
• EachMaxShort int - Maximum number of short orders per trading pair, -1 to disable
• AllowTFs []string - Allowed running time periods, use global configuration when not provided
• Outputs []string - Content of the text file output by the strategy, where each string is one line
• Policy *config.RunPolicyConfig - Strategy running configuration

StratJob

Strategy task instance, responsible for executing specific trading operations.

Public fields:

• Strat *TradeStrat - Parent strategy
• Env *ta.BarEnv - Indicator environment
• Entrys []*EnterReq - Entry request list
• Exits []*ExitReq - Exit request list
• LongOrders []*ormo.InOutOrder - Long order list
• ShortOrders []*ormo.InOutOrder - Short order list
• Symbol *orm.ExSymbol - Currently running currency
• TimeFrame string - Current running time frame
• Account string - Account to which the current task belongs
• TPMaxs map[int64]float64 - Price at maximum profit of the order
• OrderNum int - Total number of unfinished orders
• EnteredNum int - Number of fully/partially entered orders
• CheckMS int64 - Last timestamp of signal processing, 13-digit milliseconds
• MaxOpenLong int - Maximum number of long positions, 0 for unlimited, -1 to disable
• MaxOpenShort int - Maximum number of short positions, 0 for unlimited, -1 to disable
• CloseLong bool - Whether to allow closing long positions
• CloseShort bool - Whether to allow closing short positions
• ExgStopLoss bool - Whether to allow exchange stop loss
• LongSLPrice float64 - Default long stop loss price when opening position
• ShortSLPrice float64 - Default short stop loss price when opening position
• ExgTakeProfit bool - Whether to allow exchange take profit
• LongTPPrice float64 - Default long take profit price when opening position
• ShortTPPrice float64 - Default short take profit price when opening position
• IsWarmUp bool - Whether currently in warmup state
• More interface{} - Additional information for strategy customization

JobEnv

Represents a job for additional product data in OnBatchInfos.

Public fields:

• Job *StratJob - Strategy job instance
• Env *ta.BarEnv - Indicator runtime environment
• Symbol string - Trading pair name

BatchMap

Batch execution task pool for all targets in the current exchange market time cycle.

Public fields:

• Map map[string]*JobEnv - Task mapping
• TFMSecs int64 - Time frame milliseconds
• ExecMS int64 - Timestamp for executing batch tasks, delayed by a few seconds upon receiving a new target; execution starts when delay exceeds DelayBatchMS without receiving new targets

PairSub

Trading pair subscription information.

Public fields:

• Pair string - Trading pair name
• TimeFrame string - Time frame
• WarmupNum int - Warmup number

EnterReq

Open position request structure.

Public fields:

• Tag string - Entry signal
• StgyName string - Strategy name
• Short bool - Whether to short sell
• OrderType int - Order type
• Limit float64 - Entry price for limit order, order will be submitted as limit order when specified
• Stop float64 - Stop price, buy orders enter when the price rises to the trigger price (vice versa for sell orders).
• CostRate float64 - Opening ratio, default 1x according to configuration, used for calculating LegalCost
• LegalCost float64 - Amount in fiat currency, ignores CostRate when specified
• Leverage float64 - Leverage ratio
• Amount float64 - Entry target amount, calculated from LegalCost and price
• StopLossVal float64 - Distance from entry price to stop loss price, used to calculate StopLoss
• StopLoss float64 - Stop loss trigger price, submits a stop loss order on exchange when not empty
• StopLossLimit float64 - Stop loss limit price, StopLoss not available when provided
• StopLossRate float64 - Stop loss exit ratio, 0 means full exit, must be between (0,1]
• StopLossTag string - Reason for stop loss
• TakeProfitVal float64 - Distance from entry price to take profit price, used to calculate TakeProfit
• TakeProfit float64 - Take profit trigger price, submits a take profit order on exchange when not empty
• TakeProfitLimit float64 - Take profit limit price, TakeProfit not available when provided
• TakeProfitRate float64 - Take profit exit ratio, 0 means full exit, must be between (0,1]
• TakeProfitTag string - Reason for take profit
• StopBars int - Number of bars after which unfilled entry limit order will be cancelled
• ClientID string - Used to set the trailing part of the ClientOrderID submitted to the exchange.
• Infos map[string]string - Used to store additional information for the order.

ExitReq

Close position request structure.

Public fields:

• Tag string - Exit signal
• StgyName string - Strategy name
• EnterTag string - Only exit orders with EnterTag as entry signal
• Dirt int - Direction (core.OdDirt*), long/short/both
• OrderType int - Order type
• Limit float64 - Exit price for limit order, order will be submitted as limit order when specified
• ExitRate float64 - Exit ratio, default 100% means all orders exit
• Amount float64 - Target amount to exit, ExitRate invalid when specified
• OrderID int64 - Only exit specified order
• UnFillOnly bool - When True, only exit unfilled portion
• FilledOnly bool - When True, only exit filled orders
• Force bool - Whether to force exit

Strategy Management Methods

New

Create a new trading strategy instance.

Parameters:

• pol *config.RunPolicyConfig - Strategy running configuration

Returns:

• *TradeStrat - Trading strategy instance

Get

Get strategy instance based on trading pair and strategy ID.

Parameters:

• pair string - Trading pair name
• stratID string - Strategy ID

Returns:

• *TradeStrat - Trading strategy instance, returns nil if not exists

GetStratPerf

Get strategy performance configuration.

Parameters:

• pair string - Trading pair name
• strat string - Strategy name

Returns:

• *config.StratPerfConfig - Strategy performance configuration

AddStratGroup

Add strategy group.

Parameters:

• group string - Strategy group name
• items map[string]FuncMakeStrat - Strategy creation function mapping

Order Management Methods

GetJobs

Get all strategy jobs for the specified account.

Parameters:

• account string - Account name

Returns:

• map[string]map[string]*StratJob - Job mapping grouped by trading pair and strategy

GetInfoJobs

Get information strategy jobs for the specified account.

Parameters:

• account string - Account name

Returns:

• map[string]map[string]*StratJob - Information job mapping grouped by trading pair and strategy

AddOdSub

Add order change subscription.

Parameters:

• acc string - Account name
• cb FnOdChange - Order change callback function

FireOdChange

Trigger order change event.

Parameters:

• acc string - Account name
• od *ormo.InOutOrder - Order object
• evt int - Event type

Performance Calculation Methods

CalcJobScores

Calculate strategy job scores.

Parameters:

• pair string - Trading pair name
• tf string - Time frame
• stgy string - Strategy name

Returns:

• *errs.Error - Error information

CalcJobPerfs

Calculate strategy job performance.

Parameters:

• cfg *config.StratPerfConfig - Performance configuration
• p *core.PerfSta - Performance statistics object
• perfs []*core.JobPerf - Performance data list

CalcDrawDownExitRate

Calculate drawdown exit rate.

Parameters:

• maxChg float64 - Maximum change rate

Returns:

• float64 - Calculated exit rate

System Management Methods

LoadStratJobs

Load strategy jobs.

Parameters:

• pairs []string - Trading pair list
• tfScores map[string]map[string]float64 - Time frame score mapping

Returns:

• map[string]map[string]int - Job status mapping
• map[string][]*ormo.InOutOrder - Order mapping
• *errs.Error - Error information

ExitStratJobs

Exit all strategy jobs.